This paper examines the investment in and the valuation of power generation projects under uncertainty. The analysis incorporates the possibility of producing from alternative types of fuels, such as renewables (wind) or fossil fuels (gas), hence alternative types of plants/technologies. The model considered in this paper cannot be reduced to a single state variable. It…

 The classical Schur-Weyl duality relates the representation theory of general linear Lie algebras and symmetric groups. Drinfeld and Jimbo independently introduced quantum groups  in their study of exactly solvable models, which leads to a quantization of the Schur duality relating quantum groups of general linear Lie algebras and Hecke algebras of symmetric groups. In this…

We study Nash equilibria for inventory-averse high-frequency traders (HFTs), who trade to exploit information about future price changes. For discrete trading rounds, the HFTs' optimal trading strategies and their equilibrium price impact are described by a system of nonlinear equations; explicit solutions obtain around the continuous-time limit. Unlike in the risk-neutral case, the optimal inventories…

We consider the problem of maximizing expected utility from terminal wealth for a power investor who can allocate his wealth in a stock, a defaultable security, and a money market account. The dynamics of these security prices are governed by geometric Brownian motions modulated by a hidden continuous time finite state Markov chain. We reduce…